Results 1 to 10 of about 529,179 (290)
Scaling conditional tail probability and quantile estimators [PDF]
SSRN Electronic Journal, 2009 We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distribution of returns.
John Cotter
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Asymptotic expansions for the first hitting times of Bessel processes [PDF]
Opuscula Mathematica, 2021 We study a precise asymptotic behavior of the tail probability of the first hitting time of the Bessel process. We deduce the order of the third term and decide the explicit form of its coefficient.
Yuji Hamana +2 more
doaj +1 more source
Tail probability and divergent series [PDF]
Journal of Interdisciplinary Mathematics, 2021 From mostly a measure-theoretic consideration, we show that for every nonnegative, finite, and $L^{1}$ function on a given finite measure space there is some nontrivial sequence of real numbers such that the series, obtained from summing over the term-by-term products of the reals and the summands of any divergent series with positive, vanishing ...
openaire +2 more sources
Sharp Probability Tail Estimates for Portfolio Credit Risk
Risks, 2022 Portfolio credit risk is often concerned with the tail distribution of the total loss, defined to be the sum of default losses incurred from a collection of individual loans made out to the obligors.
Jeffrey F. Collamore +2 more
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Individual Investors’ Attention to Left Tail Risk [PDF]
Journal of Asset Management and Financing, 2020 Objective: Left tail risk shows the probability of the occurrence of undesirable events. Investors who undergo the left tail risk are likely to experience considerable negative returns since the left tail risk oftentimes continues to the next period ...
Mahshid Shahrzadi, Daryoosh Forooghi
doaj +1 more source
Tail Asymptotics for a Retrial Queue with Bernoulli Schedule
Mathematics, 2022 In this paper, we study the asymptotic behaviour of the tail probability of the number of customers in the steady-state M/G/1 retrial queue with Bernoulli schedule, under the assumption that the service time distribution has a regularly varying tail ...
Bin Liu, Yiqiang Q. Zhao
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Animals, 2022 Tail biting has been recognised as an intractable problem in pig production. This study aims to evaluate tail lesion occurrence in slaughtered pigs and explore the relationship between carcass condemnations and tail lesion considering different ...
Alice Gomes +3 more
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Martingale Approach to Derive Lundberg-Type Inequalities
Mathematics, 2020 In this paper, we find the upper bound for the tail probability Psupn⩾0∑I=1nξI>x with random summands ξ1,ξ2,… having light-tailed distributions. We find conditions under which the tail probability of supremum of sums can be estimated by quantity ϱ1exp ...
Tautvydas Kuras +2 more
doaj +1 more source
Investment Environment has Changed, Natural Selection Makes Investors Pay More Attention to Liquidity [PDF]
SHS Web of Conferences, 2023 With the rise of global protectionism, de-globalization, Sino-U.S. Trade conflict, the instability of policies will increase the probability of tail events. In this paper, we mentioned the natural selection in the financial industry.
Song Xiangfan
doaj +1 more source
Divergence between individual perceptions and objective indicators of tail risks: Evidence from floodplain residents in New York City [PDF]
Judgment and Decision Making, 2015 This study provides the first comprehensive analysis of individual perceptions of tail risks. It focuses not only on the probability, as has been studied by Nicholas Barberis and others, but also on anticipation of damage.
W.J. Wouter Botzen +2 more
doaj +3 more sources